I used utorrent to download a movie.
I successfully opened the file with
VLC media player. How to I now burn
the file to a DVD??? 
Many video to DVD burner supports convert burn video to DVD disk.
Here is the a video to DVD burner :Total Video2Dvd.
It is well know and can converts any High-Definition video formats such as HD-DV, MKV, Blu-ray TS, TP, M2TS, AVCHD, WMV-HD, HD avi to DVD and all other popular video formats Youtube FLV, Xvid avi, Mov, Rmvb, Rm, Divx, Wmv, Asf, VOB, DV, 3gp, Ogm, Mpeg, Mpeg4, AVI to DVD formats.
http://www.effectmatrix.com/total_video_to_DVD_Author/index.htm
In order to burn a MKV file to DVD, you can free try some dvd burner program such as Video to DVD Burner.